SabrExtrapolationReplicationCmsPeriodPricer (OpenGamma Strata Pricer API)

java.lang.Object
- com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsPeriodPricer

```
public final class SabrExtrapolationReplicationCmsPeriodPricer
extends Object
```
Computes the price of a CMS coupon/caplet/floorlet by swaption replication on a shifted SABR formula with extrapolation.
The extrapolation is done on call prices above a certain strike. See SabrExtrapolationRightFunction for more details on the extrapolation method.
The replication requires numerical integration. This is completed by RungeKuttaIntegrator1D.
The consistency between RatesProvider and SabrParametersSwaptionVolatilities is not checked in this class, but validated only once in SabrExtrapolationReplicationCmsLegPricer.
Reference: Hagan, P. S. (2003). Convexity conundrums: Pricing CMS swaps, caps, and floors. Wilmott Magazine, March, pages 38--44. OpenGamma implementation note: Replication pricing for linear and TEC format CMS, Version 1.2, March 2011. OpenGamma implementation note for the extrapolation: Smile extrapolation, version 1.2, May 2011.

Method Summary

All Methods Static Methods Instance Methods Concrete Methods
Modifier and Type	Method and Description
`double`	`adjustedForwardRate(CmsPeriod cmsPeriod, RatesProvider provider, SabrSwaptionVolatilities swaptionVolatilities)` Computes the adjusted forward rate for a CMS coupon.
`double`	`adjustmentToForwardRate(CmsPeriod cmsPeriod, RatesProvider provider, SabrSwaptionVolatilities swaptionVolatilities)` Computes the adjustment to the forward rate for a CMS coupon.
`void`	`explainPresentValue(CmsPeriod period, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities, ExplainMapBuilder builder)` Explains the present value of the CMS period.
`double`	`getCutOffStrike()` Returns the cut-off strike.
`double`	`getMu()` Returns the tail thickness parameter.
`DiscountingSwapProductPricer`	`getSwapPricer()` Returns the underlying swap pricer.
`static SabrExtrapolationReplicationCmsPeriodPricer`	`of(DiscountingSwapProductPricer swapPricer, double cutOffStrike, double mu)` Obtains the pricer.
`static SabrExtrapolationReplicationCmsPeriodPricer`	`of(double cutOffStrike, double mu)` Obtains the pricer with default swap pricer.
`CurrencyAmount`	`presentValue(CmsPeriod cmsPeriod, RatesProvider provider, SabrSwaptionVolatilities swaptionVolatilities)` Computes the present value by replication in SABR framework with extrapolation on the right.
`PointSensitivityBuilder`	`presentValueSensitivityModelParamsSabr(CmsPeriod cmsPeriod, RatesProvider provider, SabrSwaptionVolatilities swaptionVolatilities)` Computes the present value sensitivity to SABR parameters by replication in SABR framework with extrapolation on the right.
`PointSensitivityBuilder`	`presentValueSensitivityRates(CmsPeriod cmsPeriod, RatesProvider provider, SabrSwaptionVolatilities swaptionVolatilities)` Computes the present value curve sensitivity by replication in SABR framework with extrapolation on the right.
`double`	`presentValueSensitivityStrike(CmsPeriod cmsPeriod, RatesProvider provider, SabrSwaptionVolatilities swaptionVolatilities)` Computes the present value sensitivity to strike by replication in SABR framework with extrapolation on the right.

Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

- Method Detail
  - of
```
public static SabrExtrapolationReplicationCmsPeriodPricer of(DiscountingSwapProductPricer swapPricer,
                                                             double cutOffStrike,
                                                             double mu)
```
    Obtains the pricer.
    
    Parameters:
    
    swapPricer - the pricer for underlying swap
    
    cutOffStrike - the cut-off strike value
    
    mu - the tail thickness
    
    Returns:
    
    the pricer
  - of
```
public static SabrExtrapolationReplicationCmsPeriodPricer of(double cutOffStrike,
                                                             double mu)
```
    Obtains the pricer with default swap pricer.
    
    Parameters:
    
    cutOffStrike - the cut-off strike value
    
    mu - the tail thickness
    
    Returns:
    
    the pricer
  - getSwapPricer
```
public DiscountingSwapProductPricer getSwapPricer()
```
    Returns the underlying swap pricer.
    
    Returns:
    
    the pricer
  - getMu
```
public double getMu()
```
    Returns the tail thickness parameter.
    
    Returns:
    
    the parameter
  - getCutOffStrike
```
public double getCutOffStrike()
```
    Returns the cut-off strike.
    
    Returns:
    
    the strike
  - presentValue
```
public CurrencyAmount presentValue(CmsPeriod cmsPeriod,
                                   RatesProvider provider,
                                   SabrSwaptionVolatilities swaptionVolatilities)
```
    Computes the present value by replication in SABR framework with extrapolation on the right.
    
    Parameters:
    
    cmsPeriod - the CMS
    
    provider - the rates provider
    
    swaptionVolatilities - the swaption volatilities
    
    Returns:
    
    the present value
  - adjustedForwardRate
```
public double adjustedForwardRate(CmsPeriod cmsPeriod,
                                  RatesProvider provider,
                                  SabrSwaptionVolatilities swaptionVolatilities)
```
    Computes the adjusted forward rate for a CMS coupon.
    The adjusted forward rate, is the number such that, multiplied by the notional, the year fraction and the payment date discount factor, it produces the present value. In other terms, it is the number which used in the same formula used for Ibor coupon pricing will provide the correct present value.
    For period already fixed, this number will be equal to the swap index fixing.
    For cap or floor the result is the adjusted forward rate for the coupon equivalent to the cap/floor, i.e. the coupon with the same dates and index but with no cap or floor strike.
    
    Parameters:
    
    cmsPeriod - the CMS period, which should be of the type CmsPeriodType.COUPON
    
    provider - the rates provider
    
    swaptionVolatilities - the swaption volatilities
    
    Returns:
    
    the adjusted forward rate
  - adjustmentToForwardRate
```
public double adjustmentToForwardRate(CmsPeriod cmsPeriod,
                                      RatesProvider provider,
                                      SabrSwaptionVolatilities swaptionVolatilities)
```
    Computes the adjustment to the forward rate for a CMS coupon.
    The adjustment to the forward rate, is the quantity that need to be added to the forward rate to obtain the adjusted forward rate. The adjusted forward rate is the number which used in the same formula used for Ibor coupon pricing (forward * notional * accrual factor * discount factor) will provide the correct present value.
    For cap or floor the result is the adjustment to the forward rate for the coupon equivalent to the cap/floor, i.e. the coupon with the same dates and index but with no cap or floor strike.
    
    Parameters:
    
    cmsPeriod - the CMS period, which should be of the type CmsPeriodType.COUPON
    
    provider - the rates provider
    
    swaptionVolatilities - the swaption volatilities
    
    Returns:
    
    the adjusted forward rate
  - presentValueSensitivityRates
```
public PointSensitivityBuilder presentValueSensitivityRates(CmsPeriod cmsPeriod,
                                                            RatesProvider provider,
                                                            SabrSwaptionVolatilities swaptionVolatilities)
```
    Computes the present value curve sensitivity by replication in SABR framework with extrapolation on the right.
    
    Parameters:
    
    cmsPeriod - the CMS
    
    provider - the rates provider
    
    swaptionVolatilities - the swaption volatilities
    
    Returns:
    
    the present value sensitivity
  - presentValueSensitivityModelParamsSabr
```
public PointSensitivityBuilder presentValueSensitivityModelParamsSabr(CmsPeriod cmsPeriod,
                                                                      RatesProvider provider,
                                                                      SabrSwaptionVolatilities swaptionVolatilities)
```
    Computes the present value sensitivity to SABR parameters by replication in SABR framework with extrapolation on the right.
    
    Parameters:
    
    cmsPeriod - the CMS
    
    provider - the rates provider
    
    swaptionVolatilities - the swaption volatilities
    
    Returns:
    
    the present value sensitivity
  - presentValueSensitivityStrike
```
public double presentValueSensitivityStrike(CmsPeriod cmsPeriod,
                                            RatesProvider provider,
                                            SabrSwaptionVolatilities swaptionVolatilities)
```
    Computes the present value sensitivity to strike by replication in SABR framework with extrapolation on the right.
    
    Parameters:
    
    cmsPeriod - the CMS
    
    provider - the rates provider
    
    swaptionVolatilities - the swaption volatilities
    
    Returns:
    
    the present value sensitivity
  - explainPresentValue
```
public void explainPresentValue(CmsPeriod period,
                                RatesProvider ratesProvider,
                                SabrSwaptionVolatilities swaptionVolatilities,
                                ExplainMapBuilder builder)
```
    Explains the present value of the CMS period.
    This returns explanatory information about the calculation.
    
    Parameters:
    
    period - the product
    
    ratesProvider - the rates provider
    
    swaptionVolatilities - the volatilities
    
    builder - the builder to populate

Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.

Class SabrExtrapolationReplicationCmsPeriodPricer

Method Summary

Methods inherited from class java.lang.Object

Method Detail

of

of

getSwapPricer

getMu

getCutOffStrike

presentValue

adjustedForwardRate

adjustmentToForwardRate

presentValueSensitivityRates

presentValueSensitivityModelParamsSabr

presentValueSensitivityStrike

explainPresentValue